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Keywords: Time-varying frequency connectedness
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Journal Articles
Journal:
Studies in Economics and Finance
Studies in Economics and Finance (2023) 40 (3): 425–444.
Published: 19 December 2022
... of these investor groups. Design/methodology/approach The authors use a novel time-varying frequency connectedness framework of Chatziantoniou et al. and a new time-varying Granger causality test with a recursive evolving procedure by Shi et al. over June 2008 and July 2022. Findings The results show a high...
